Multiplicative bias corrected nonparametric smoothers
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Publication:2417434
DOI10.1007/978-3-319-96941-1_3zbMATH Open1414.62132arXiv0908.0128OpenAlexW2963325711MaRDI QIDQ2417434
Publication date: 12 June 2019
Abstract: The paper presents a multiplicative bias reduction estimator for nonparametric regression. The approach consists to apply a multiplicative bias correction to an oversmooth pilot estimator. In Burr et al. [2010], this method has been tested to estimate energy spectra. For such data set, it was observed that the method allows to decrease bias with negligible increase in variance. In this paper, we study the asymptotic properties of the resulting estimate and prove that this estimate has zero asymptotic bias and the same asymptotic variance as the local linear estimate. Simulations show that our asymptotic results are available for modest sample sizes.
Full work available at URL: https://arxiv.org/abs/0908.0128
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